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161223 ||| eng |
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|a 9781498389471
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|a Zanforlin, Luisa
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245 |
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|a Market Signals and the Cost of Credit Risk Protection
|b An Analysis of CDS Settlement Auctions
|c Luisa Zanforlin, Nobuyuki Kanazawa
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260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2014
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300 |
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|a 32 pages
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651 |
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4 |
|a United States
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653 |
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|a Inflation
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|a Government and the Monetary System
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|a Payment Systems
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|a Credit
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|a Finance
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|a Asset valuation
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653 |
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|a Regimes
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653 |
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|a Monetary economics
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653 |
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|a Financial institutions
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653 |
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|a Financial Forecasting and Simulation
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653 |
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|a Deflation
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653 |
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|a Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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653 |
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|a General Financial Markets: General (includes Measurement and Data)
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653 |
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|a Investments: Bonds
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653 |
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|a Asset and liability management
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653 |
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|a Money
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653 |
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|a International Financial Markets
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653 |
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|a Asset prices
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|a Price Level
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|a Standards
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|a Bonds
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|a Asset-liability management
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653 |
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|a Currencies
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653 |
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|a Monetary Systems
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653 |
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|a Prices
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653 |
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|a Macroeconomics
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653 |
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|a Credit default swap
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653 |
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|a Information and Market Efficiency
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653 |
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|a Investment & securities
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653 |
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|a Event Studies
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653 |
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|a Financial Risk Management
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653 |
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|a Money and Monetary Policy
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|a Kanazawa, Nobuyuki
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|a eng
|2 ISO 639-2
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989 |
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|b IMF
|a International Monetary Fund
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|a IMF Working Papers
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|a 10.5089/9781498389471.001
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856 |
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|u https://elibrary.imf.org/view/journals/001/2014/239/001.2014.issue-239-en.xml?cid=42562-com-dsp-marc
|x Verlag
|3 Volltext
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|a 330
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|a We study the link between the probability of default implied by Credit Default Swaps (CDS) spreads and the final prices of the defaulted bonds as established at the CDS settlement auctions. We observe that the post-default recovery rates at the observed spreads imply markets were often “surprised” by the credit event. We find that the prices of the bonds that are deliverable at the auctions imply probabilities of default that are systematically different than the default probabilities estimated prior to the event of default using standard methodologies. We discuss the implications for CDS pricing models. We analyze the discrepancy between the actual and theoretical CDS spreads and we find it is significantly associated both to the CDS market microstructure at the time of the settlement auction and to the general macroeconomic background. We discuss the potential for strategic bidding behavior at the CDS settlement auctions
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